Bitmex: Fix handling index records in WS trade stream (#1685)

Fixes handling for Size == 0 index records sent to trade stream fixes #1684
2026-05-13 23:16:45 +00:00 · 2024-10-25 10:57:34 +02:00
parent 4c7c0bc533
commit 4d36ea4943
5 changed files with 62 additions and 50 deletions
--- a/exchanges/bitmex/bitmex_test.go
+++ b/exchanges/bitmex/bitmex_test.go
@@ -1020,11 +1020,17 @@ func TestWSDeleverageExecutionInsertHandling(t *testing.T) {

 func TestWsTrades(t *testing.T) {
 	t.Parallel()
-	pressXToJSON := []byte(`[0, "public", "public", {"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"MinusTick","trdMatchID":"c427f7a0-6b26-1e10-5c4e-1bd74daf2a73","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"95eb9155-b58c-70e9-44b7-34efe50302e0","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"e607c187-f25c-86bc-cb39-8afff7aaf2d9","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":17,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"0f076814-a57d-9a59-8063-ad6b823a80ac","grossValue":439110,"homeNotional":0.1683835182250396,"foreignNotional":43.49346275752773},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"MinusTick","trdMatchID":"f4ef3dfd-51c4-538f-37c1-e5071ba1c75d","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"81ef136b-8f4a-b1cf-78a8-fffbfa89bf40","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"65a87e8c-7563-34a4-d040-94e8513c5401","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":15,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"1d11a74e-a157-3f33-036d-35a101fba50b","grossValue":387375,"homeNotional":0.14857369255150554,"foreignNotional":38.369156101426306},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":1,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"40d49df1-f018-f66f-4ca5-31d4997641d7","grossValue":25825,"homeNotional":0.009904912836767036,"foreignNotional":2.5579437400950873},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"MinusTick","trdMatchID":"36135b51-73e5-c007-362b-a55be5830c6b","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"6ee19edb-99aa-3030-ba63-933ffb347ade","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"d44be603-cdb8-d676-e3e2-f91fb12b2a70","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":5,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"a14b43b3-50b4-c075-c54d-dfb0165de33d","grossValue":129100,"homeNotional":0.04952456418383518,"foreignNotional":12.787242472266245},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":8,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"3c30e175-5194-320c-8f8c-01636c2f4a32","grossValue":206560,"homeNotional":0.07923930269413629,"foreignNotional":20.45958795562599},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":50,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"5b803378-760b-4919-21fc-bfb275d39ace","grossValue":1291000,"homeNotional":0.49524564183835185,"foreignNotional":127.87242472266244},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":244,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"cf57fec1-c444-b9e5-5e2d-4fb643f4fdb7","grossValue":6300080,"homeNotional":2.416798732171157,"foreignNotional":624.0174326465927}]}]`)
-	err := b.wsHandleData(pressXToJSON)
-	if err != nil {
-		t.Error(err)
-	}
+	b := new(Bitmex) //nolint:govet // Intentional shadow to avoid future copy/paste mistakes
+	require.NoError(t, testexch.Setup(b), "Test instance Setup must not error")
+	b.SetSaveTradeDataStatus(true)
+	msg := []byte(`[0, "public", "public", {"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"MinusTick","trdMatchID":"c427f7a0-6b26-1e10-5c4e-1bd74daf2a73","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"95eb9155-b58c-70e9-44b7-34efe50302e0","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"e607c187-f25c-86bc-cb39-8afff7aaf2d9","grossValue":2583000,"homeNotional":0.9904912836767037,"foreignNotional":255.84389857369254},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":17,"price":258.3,"tickDirection":"ZeroMinusTick","trdMatchID":"0f076814-a57d-9a59-8063-ad6b823a80ac","grossValue":439110,"homeNotional":0.1683835182250396,"foreignNotional":43.49346275752773},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"MinusTick","trdMatchID":"f4ef3dfd-51c4-538f-37c1-e5071ba1c75d","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"81ef136b-8f4a-b1cf-78a8-fffbfa89bf40","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"65a87e8c-7563-34a4-d040-94e8513c5401","grossValue":2582500,"homeNotional":0.9904912836767037,"foreignNotional":255.79437400950872},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":15,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"1d11a74e-a157-3f33-036d-35a101fba50b","grossValue":387375,"homeNotional":0.14857369255150554,"foreignNotional":38.369156101426306},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":1,"price":258.25,"tickDirection":"ZeroMinusTick","trdMatchID":"40d49df1-f018-f66f-4ca5-31d4997641d7","grossValue":25825,"homeNotional":0.009904912836767036,"foreignNotional":2.5579437400950873},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"MinusTick","trdMatchID":"36135b51-73e5-c007-362b-a55be5830c6b","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"6ee19edb-99aa-3030-ba63-933ffb347ade","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":100,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"d44be603-cdb8-d676-e3e2-f91fb12b2a70","grossValue":2582000,"homeNotional":0.9904912836767037,"foreignNotional":255.7448494453249},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":5,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"a14b43b3-50b4-c075-c54d-dfb0165de33d","grossValue":129100,"homeNotional":0.04952456418383518,"foreignNotional":12.787242472266245},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":8,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"3c30e175-5194-320c-8f8c-01636c2f4a32","grossValue":206560,"homeNotional":0.07923930269413629,"foreignNotional":20.45958795562599},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":50,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"5b803378-760b-4919-21fc-bfb275d39ace","grossValue":1291000,"homeNotional":0.49524564183835185,"foreignNotional":127.87242472266244},{"timestamp":"2020-02-17T01:35:36.442Z","symbol":"ETHUSD","side":"Sell","size":244,"price":258.2,"tickDirection":"ZeroMinusTick","trdMatchID":"cf57fec1-c444-b9e5-5e2d-4fb643f4fdb7","grossValue":6300080,"homeNotional":2.416798732171157,"foreignNotional":624.0174326465927}]}]`)
+	require.NoError(t, b.wsHandleData(msg), "Must not error handling a standard stream of trades")
+
+	msg = []byte(`[0, "public", "public", {"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":14,"price":258.2,"side":"sell"}]}]`)
+	require.ErrorIs(t, b.wsHandleData(msg), exchange.ErrSymbolCannotBeMatched, "Must error correctly with an unknown symbol")
+
+	msg = []byte(`[0, "public", "public", {"table":"trade","action":"insert","data":[{"timestamp":"2020-02-17T01:35:36.442Z","symbol":".BGCT","size":0,"price":258.2,"side":"sell"}]}]`)
+	require.NoError(t, b.wsHandleData(msg), "Must not error that symbol is unknown when index trade is ignored due to zero size")
 }

 func TestGetRecentTrades(t *testing.T) {
--- a/exchanges/bitmex/bitmex_websocket.go
+++ b/exchanges/bitmex/bitmex_websocket.go
@@ -202,41 +202,7 @@ func (b *Bitmex) wsHandleData(respRaw []byte) error {
 			return err
 		}
 	case bitmexWSTrade:
-		if !b.IsSaveTradeDataEnabled() {
-			return nil
-		}
-		var tradeHolder TradeData
-		if err := json.Unmarshal(msg, &tradeHolder); err != nil {
-			return err
-		}
-		var trades []trade.Data
-		for i := range tradeHolder.Data {
-			if tradeHolder.Data[i].Price == 0 {
-				// Please note that indices (symbols starting with .) post trades at intervals to the trade feed.
-				// These have a size of 0 and are used only to indicate a changing price.
-				continue
-			}
-			p, a, err := b.GetPairAndAssetTypeRequestFormatted(tradeHolder.Data[i].Symbol)
-			if err != nil {
-				return err
-			}
-			oSide, err := order.StringToOrderSide(tradeHolder.Data[i].Side)
-			if err != nil {
-				return err
-			}
-
-			trades = append(trades, trade.Data{
-				TID:          tradeHolder.Data[i].TrdMatchID,
-				Exchange:     b.Name,
-				CurrencyPair: p,
-				AssetType:    a,
-				Side:         oSide,
-				Price:        tradeHolder.Data[i].Price,
-				Amount:       float64(tradeHolder.Data[i].Size),
-				Timestamp:    tradeHolder.Data[i].Timestamp,
-			})
-		}
-		return b.AddTradesToBuffer(trades...)
+		return b.handleWsTrades(msg)
 	case bitmexWSAnnouncement:
 		var announcement AnnouncementData
 		if err := json.Unmarshal(msg, &announcement); err != nil {
@@ -517,6 +483,44 @@ func (b *Bitmex) processOrderbook(data []OrderBookL2, action string, p currency.
 	return nil
 }

+func (b *Bitmex) handleWsTrades(msg []byte) error {
+	if !b.IsSaveTradeDataEnabled() {
+		return nil
+	}
+	var tradeHolder TradeData
+	if err := json.Unmarshal(msg, &tradeHolder); err != nil {
+		return err
+	}
+	trades := make([]trade.Data, 0, len(tradeHolder.Data))
+	for _, t := range tradeHolder.Data {
+		if t.Size == 0 {
+			// Indices (symbols starting with .) post trades at intervals to the trade feed
+			// These have a size of 0 and are used only to indicate a changing price
+			continue
+		}
+		p, a, err := b.GetPairAndAssetTypeRequestFormatted(t.Symbol)
+		if err != nil {
+			return err
+		}
+		oSide, err := order.StringToOrderSide(t.Side)
+		if err != nil {
+			return err
+		}
+
+		trades = append(trades, trade.Data{
+			TID:          t.TrdMatchID,
+			Exchange:     b.Name,
+			CurrencyPair: p,
+			AssetType:    a,
+			Side:         oSide,
+			Price:        t.Price,
+			Amount:       float64(t.Size),
+			Timestamp:    t.Timestamp,
+		})
+	}
+	return b.AddTradesToBuffer(trades...)
+}
+
 // generateSubscriptions returns a list of subscriptions from the configured subscriptions feature
 func (b *Bitmex) generateSubscriptions() (subscription.List, error) {
 	return b.Features.Subscriptions.ExpandTemplates(b)
--- a/exchanges/bitmex/bitmex_websocket_types.go
+++ b/exchanges/bitmex/bitmex_websocket_types.go
@@ -66,8 +66,8 @@ type OrderBookData struct {

 // TradeData contains trade resp data with action to be taken
 type TradeData struct {
-	Data   []Trade `json:"data"`
-	Action string  `json:"action"`
+	Data   []*Trade `json:"data"`
+	Action string   `json:"action"`
 }

 // AnnouncementData contains announcement resp data with action to be taken